``Sweden is now another country,'' mourned the Daily Expressen after the murder of Prime Minister Olof Palme Friday night. It was referring to the need to curtail some of Sweden's traditional openness for the sake of security. But the newspaper Dagens Nyheter vowed that Sweden must not become another country. ``Without openness, democracy and the higher values of life are themselves in danger.''

For many Swedes, the inconceivably ``un-Swedish'' assassination of a government leader here for the first time in two centuries poses precisely the question of how far they must now go in sacrificing the openness and tolerance that Mr. Palme exemplified and that Swedes pride themselves on.

Palme, elected last September to his fourth term as Social Democratic prime minister, was shot at point-blank range in premeditated fashion by an unidentified assailant Friday night as he and his wife left a downtown cinema.

The prime minister, who believed passionately that politicians' accessibility is a necessary element of democracy, refused all bodyguards until after he received repeated threats in 1983. Even after that he generally refused bodyguards in his off-duty hours, and on Friday had dismissed them in the morning.

Public affection for the man who so personified their country is evident both in the lines waiting to sign a memorial book at the main government building and in the clusters of citizens leaving roses and notes at the site where Palme fell.

``He was in a class by himself,'' commented one senior Western diplomat, ``in much the same sort of way as [grand slalom champion Ingemar] Stenmark or [tennis champion Bj"orn] Borg or a Volvo . . . They stood out. They are individual performers from a land that doesn't mass produce them.''

Police have reported no clues yet as to the identity of the assassin. Three men were taken into custody for questioning over the weekend, but were later released.

Various public figures have expressed the ardent hope that the assassin not turn out to be a foreigner, as they fear that Swedish tolerance might then give way to xenophobic recrimination.

The shock produced by the assassination indicates not only the loss of a leader of world stature, but also the ``loss of Swedish innocence,'' as the Western diplomat described it.

``Part of the quality of life was that their prime minister walked the streets unguarded, nodding to his neighbors, standing in line for a ticket to the movies.''

For years Swedes have thought that they were immune to the political violence sweeping much of the rest of the world. There has been imported violence of foreigner against foreigner, as during the siege of the West German Embassy 10 years ago by West German terrorists. But there has not been political violence by Swedes or directed against Swedes. [Police said they were investigating an anonymous telephone call to an international news agency in London which said that West German terrorists had killed Palme, AP reported.]

In part, Swedes thought they were immune to this because they -- and especially Palme -- have generally supported the causes that have spawned violence, such as Palestinian or Kurdish self-determination. They have never condoned violence, but they have expressed sympathy for the grievances that give rise to it.

Palme, besides espousing Swedish generosity toward third-world immigrants, was best known for his activism in various peace and human rights causes.

He was a vocal critic of the United States war in Vietnam and of the Soviet invasion of Czechoslovakia in 1968. He was vice-president of the Socialist International and head of its working group on South Africa. He was a member of the Brandt Commission on North-South issues; he initiated the Palme Commission and its proposal of a nuclear-free corridor in Central Europe. He made several attempts to mediate the Iran-Iraq war.

At home, Palme was an eloquent spokesman for the tradition of cradle-to-grave social welfare pioneered by Swedish Social Democrats since the 1930s. At times this made this scion of an aristocratic family sound preachy when he advocated workers' causes. But this concept of social conscience has been so much a part of the Swedish character for the past half century that he engendered rather fewer conservative enemies here than either a Willy Brandt in West Germany or a John Kennedy in the United States.

There has been a small neo-Nazi movement here, but none that has been taken seriously or been considered a dangerous source of violence.

Palme's deputy prime minister, Ingvar Carlsson, has been named to head a caretaker government and is expected to be named the new prime minister by the Riksdag within a few days. More on Palme's life from Reuters:

Olof Palme was noted for his dramatic but sometimes schoolmasterly political style. He often wore casual clothes and half-lens spectacles in public, and had a somewhat rumpled look.

After being graduated at 17 from one of Sweden's best private schools, Palme was drafted and became a reserve cavalry lieutenant. He won a scholarship to Ohio's Kenyon College, where in 1948 he racked up straight A's for a bachelor's degree in just one year. He hitchhiked for four months through 34 states on $300.